Detecting tail behavior: mean excess plots with confidence bounds

DOI10.1007/s10687-015-0238-9zbMath1338.62149arXiv1501.00518OpenAlexW1497405920MaRDI QIDQ291413

Souvik Ghosh, Bikramjit Das

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00518

zbMATH Keywords

extreme valuesregular variationasymptotic theoryconfidence boundsrandom setME plot

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Central limit and other weak theorems (60F05) Nonparametric tolerance and confidence regions (62G15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Graphical methods in statistics (62A09)

Uses Software

• QRM

Cites Work

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• Asymptotic independence and a network traffic model
• Statistics of Extremes
• Heavy-Tail Phenomena
• Regularly varying functions

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